Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.

VisualHFT is a WPF/C# desktop GUI that shows market microstructure in real time. You can track advanced limit‑order‑book dynamics and execution quality, then use its modular plugins to shape the analysis to your workflow.

We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

A custom MARL (multi-agent reinforcement learning) environment where multiple agents trade against one another (self-play) in a zero-sum continuous double auction. Ray [RLlib] is used for training.

Algo Library for Order Flow Inference and TCA

Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.

Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.

Optimization techniques on the financial area for the hedging, investment starategies, and risk measures

A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (2016); Adjusted PIN (AdjPIN) in Duarte and Young (2009); and volume-synchronized PIN (VPIN) in Easley et al. (2011, 2012). Implementations of various …

Reinforcement learning environment for trading

Price response function and spread impact analysis in correlated financial markets

Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morgan AI Research, 2019)>.

Fast price-time-quantity LOB in C11

some useful papers.

Rust Engine for High Frequency, Synthetic and Historical, Market Microstructure Modeling.

A collection of sample codes designed as assignments for students taking Market Microstructure

Price response function and spread impact analysis in foreign exchange markets

Executive Programme in Algorithmic Trading by QuantInsti

Code for my senior thesis: "The Effect of Payment for Order Flow on Order Routing to Market Centers"

Quantifi Sogang